What kind of variable is AnkleAng_X? Is it a scalar? A string? A vector or matrix or higher dimension array? How about if you just load it into a higher dimension array? Like if it's a row vector, just stuff it into a new row in a 2D matrix that you build up row by row?
By the way, you can use sprintf() and fullfile() to build up a filename:
baseFileName = sprintf('%d_P0009_S00%d_Int_Right.mat', i, k);
fullFileName = fullfile(folder, baseFileName);
if exist(fullFileName, 'file')
thisStructure = load(fullFileName);
a{j} = thisStructure.AnkleAng_X;
end